On the Discrete-Time Simulation of the Rough Heston Model
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Cites work
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- Affine diffusions and related processes: simulation, theory and applications
- Affine fractional stochastic volatility models
- Affine Volterra processes
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- Asymptotic behavior of the fractional Heston model
- Asymptotics for Rough Stochastic Volatility Models
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- Discrete-time simulation of stochastic Volterra equations
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- Long memory in continuous-time stochastic volatility models
- Markovian structure of the Volterra Heston model
- Moment explosions in the rough Heston model
- Multifactor approximation of rough volatility models
- No‐arbitrage implies power‐law market impact and rough volatility
- Numerical methods for stochastic Volterra integral equations with weakly singular kernels
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- Pricing under rough volatility
- Short-dated smile under rough volatility: asymptotics and numerics
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- The characteristic function of rough Heston models
- The fractional and mixed-fractional CEV model
- Volatility is rough
- Volatility options in rough volatility models
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Cited in
(28)- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Discrete-time simulation of stochastic Volterra equations
- Moment explosions in the rough Heston model
- Parameter estimation for the subcritical Heston model based on discrete time observations
- Discretising the Heston model: an analysis of the weak convergence rate
- Simulating from the Heston model: a gamma approximation scheme
- A fast algorithm for simulation of rough volatility models
- Short communication: on the weak convergence rate in the discretization of rough volatility models
- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
- Rational approximation of the rough Heston solution
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
- Cubature Method for Stochastic Volterra Integral Equations
- Markovian approximations of stochastic Volterra equations with the fractional kernel
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type
- Weak Error Rates of Numerical Schemes for Rough Volatility
- On the discrete-time simulation of the rough Heston model
- Functional central limit theorems for rough volatility
- Rough paths and rough volatility
- Efficient option pricing in the rough Heston model using weak simulation schemes
- A general valuation framework for rough stochastic local volatility models and applications
- Calibration and option pricing with stochastic volatility and double exponential jumps
- Numerical approximation of SDEs with fractional noise and distributional drift
- Portfolio optimization based on exponential utility criterion in the fractional and rough Heston models
- Discretely sampled signals and the rough Hoff process
- Lifted Heston model: efficient Monte Carlo simulation with large time steps
- A second-order weak approximation of Heston model by discrete random variables
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